Study of Higher Order Split-Step Methods for Stiff Stochastic Differential Equations

Study of Higher Order Split-Step Methods for Stiff Stochastic Differential Equations

Stochastic differential equations(SDEs) play an important role in many branches of engineering and science including economics, finance, chemistry, biology, mechanics etc. SDEs (with m-dimensional Wiener process) arising in many applications do not have explicit solutions, which implies the developm...

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Bibliographic Details
Main Author: Singh, Samar B
Other Authors: Raha, Soumyendu
Language:en_US
Published: 2018
Subjects:
Stochastic Differential Equations
Stochastic Delay Differential Equations (SDDEs)
Mean Square Convergence
Explicit Numerical Methods
Weiner Process
Higher Order Split-Step Methods
Mean Square Stability
Split-Step Methods
Five Stage Milstein (FSM) Methods
Split-Step Forward Milstein (SSFM) Methods
M-Stage Split-Step Strong Taylor Method
Numerical Methods
Predictor-corrector type Methods
M-SSST Methods
Stiff Stochastic Differential Equations
Mathematics
Online Access:http://etd.iisc.ernet.in/2005/3354
http://etd.iisc.ernet.in/abstracts/4221/G25752-Abs.pdf

Internet

http://etd.iisc.ernet.in/2005/3354
http://etd.iisc.ernet.in/abstracts/4221/G25752-Abs.pdf

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